A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS

Olivier Lopez, Xavier Milhaud and Pierre-Emmanuel Thérond

ASTIN Bulletin, 2019, vol. 49, issue 3, 741-762

Abstract: In non-life insurance, business sustainability requires accurate and robust predictions of reserves related to unpaid claims. To this aim, two different approaches have historically been developed: aggregated loss triangles and individual claim reserving. The former has reached operational great success in the past decades, whereas the use of the latter still remains limited. Through two illustrative examples and introducing an appropriate tree-based algorithm, we show that individual claim reserving can be really promising, especially in the context of long-term risks.

Date: 2019
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